QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/models/volatility/garmanklass.hpp>
Public Member Functions | |
GarmanKlassSigma5 (Real y) | |
Public Member Functions inherited from GarmanKlassAbstract | |
GarmanKlassAbstract (Real y) | |
TimeSeries< Volatility > | calculate (const TimeSeries< IntervalPrice > "eSeries) override |
Public Member Functions inherited from LocalVolatilityEstimator< IntervalPrice > | |
virtual | ~LocalVolatilityEstimator ()=default |
virtual TimeSeries< Volatility > | calculate (const TimeSeries< IntervalPrice > "eSeries)=0 |
Protected Member Functions | |
Real | calculatePoint (const IntervalPrice &p) override |
virtual Real | calculatePoint (const IntervalPrice &p)=0 |
Additional Inherited Members | |
Protected Attributes inherited from GarmanKlassAbstract | |
Real | yearFraction_ |
Definition at line 156 of file garmanklass.hpp.
GarmanKlassSigma5 | ( | Real | y | ) |
Definition at line 159 of file garmanklass.hpp.
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overrideprotectedvirtual |
Implements GarmanKlassAbstract.
Definition at line 162 of file garmanklass.hpp.